I've been testing Exchange Server 2003 in my home lab. I used Outlook Web Access (OWA) 2003 to configure a rule to forward mail from a mailbox in my test domain to an external SMTP address. Although I can see the messages arrive at the Store, the messages never appear at their destination. What's causing this behavior?
The problem you describe is an unfortunate side effect of a basically good decision by the Exchange design team. In general, automatically forwarding messages to the Internet is a bad idea—it's too easy to get into a situation in which two automated rules are dueling, causing a mail loop. In addition, you need to consider the security implications for both your data (what if someone redirects all mail with "Project X" in the subject line to email@example.com?) and your users (does the whole world need to know when people are on vacation?). Accordingly, Exchange 2003 defaults to preventing automatic forwarding to the Internet, which is precisely the behavior you encountered. The Microsoft articles "XCON: User Interface to Suppress Automatic Forwarding to the Internet" (http://support.microsoft.com/?kbid=247122) and "How to Override Blocked Auto-Forwarding for Select Users" (http://support.microsoft.com/?kbid=317652)might provide a partial solution.